%  Chernov_options_data.m 
%  Reads in and plots options numbers from Chernov, cimputed using Broadie's Excel addin.  
%  Column definitions
%    identify:  1: money, 2: BCJ ("data"), 3: theta*=theta, 4: delta*=delta, 5:theta*=-theta
%    compare:   1: money, 2: macro3, 3: macro12, 4: fin3, 5: fin12 
%  Written:  June 2009 and after
format compact
clear all
close all

disp(' ')
disp('Chernov options data (read from xls and plot)') 
disp('---------------------------------------------------------------')


%  1. Read in data from spreadsheet

data1 = xlsread('Chernov_options_data_Dec09.xls','identify');
data2 = xlsread('Chernov_options_data_Dec09.xls','compare');

%  2. Figures

%  figure parameters 
FontSize = 14;
FontName = 'Helvetica';  % or 'Times' 
LineWidth = 2;

%  (b) comparison of macro and finance models 
%moneyness = log(data2(:,1));
moneyness = data2(:,1)-1;
macro3  = data2(:,2);
macro12 = data2(:,3);
fin3  = data2(:,4);
fin12 = data2(:,5);
plusnoise3  = data2(:,6);
plusnoise12 = data2(:,7);

figure(2)
plot(moneyness,macro12,'LineWidth',LineWidth,'Color','k','LineStyle','-')
set(gca,'LineWidth',LineWidth,'FontSize',FontSize,'FontName',FontName)
hold on
axis([-0.06 0.06 0.05 0.25]) 
xlabel('Moneyness:  difference of return from zero','FontSize',FontSize,'FontName',FontName)
ylabel('Implied Volatility (annual units)','FontSize',FontSize,'FontName',FontName)
plot(moneyness,macro3,'LineWidth',LineWidth,'Color','k','LineStyle','--')
text(-0.055,0.215,'consumption model (12 months)','FontSize',FontSize,'FontName',FontName)
text(-0.055,0.080,'consumption model (3 months)','FontSize',FontSize,'FontName',FontName)
%print -depsc options_compare1.eps
pause(2)
%
plot(moneyness,fin3,'LineWidth',LineWidth,'Color','b','LineStyle','--')
plot(moneyness,fin12,'LineWidth',LineWidth,'Color','b','LineStyle','-')
text(0.01,0.165,'option model (3 months)','FontSize',FontSize,'FontName',FontName)
text(0.01,0.2,'option model (12 months)','FontSize',FontSize,'FontName',FontName)
print -depsc options_compare2.eps
pause(2) 
%
%print -depsc options_compare.eps

plot(moneyness,plusnoise3,'LineWidth',LineWidth,'Color','m','LineStyle','--')
plot(moneyness,plusnoise12,'LineWidth',LineWidth,'Color','m','LineStyle','-')
text(0.01,0.165,'option model (3 months)','FontSize',FontSize,'FontName',FontName)
text(0.01,0.2,'option model (12 months)','FontSize',FontSize,'FontName',FontName)
print -depsc options_compare3.eps

return 

%  (a) roles of parameters ("identfication") 
moneyness = log(data1(:,1));
moneyness = data1(:,1)-1;
benchmark = data1(:,2);
smalltheta = data1(:,3);
smalldelta = data1(:,4);
smallboth = data1(:,5);
negtheta = data1(:,6);

figure(1)
plot(moneyness,benchmark,'LineWidth',LineWidth,'Color','k','LineStyle','-')
set(gca,'LineWidth',LineWidth,'FontSize',FontSize,'FontName',FontName)
hold on
axis([-0.06 0.06 0.14 0.20]) 
xlabel('Moneyness:  difference of return from zero','FontSize',FontSize,'FontName',FontName)
ylabel('Implied Volatility (annual units)','FontSize',FontSize,'FontName',FontName)
text(-0.05,0.195,'estimated Merton model','FontSize',FontSize,'FontName',FontName)
print -depsc options_identify1.eps
%
plot(moneyness,smalltheta,'LineWidth',LineWidth,'Color','b','LineStyle','--')
text(-0.05,0.178,'smaller \theta*','FontSize',FontSize,'FontName',FontName)
print -depsc options_identify2.eps

plot(moneyness,smalldelta,'LineWidth',LineWidth,'Color','b','LineStyle','--')
text(-0.05,0.164,'smaller \delta*','FontSize',FontSize,'FontName',FontName)
print -depsc options_identify3.eps

plot(moneyness,negtheta,'LineWidth',LineWidth,'Color','b','LineStyle','--')
text(-0.05,0.145,'smaller \delta* and positive \theta*','FontSize',FontSize,'FontName',FontName)
print -depsc options_identify4.eps

print -depsc options_identify.eps

return